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**Hedging longevity risk: does the structure of the financial instrument matter?**
*(English)*
Zbl 1461.91252

Summary: Longevity-linked securities can be constructed either as cash flow hedging instruments or as value hedging instruments. This article studies the interaction between the structure of longevity-linked securities and shareholder value. Relying on a strand of literature that investigates corporate risk management decisions made in the interests of shareholders, we present a framework that compares cash flow hedges with value hedges. Both our theoretical model and numerical experiments show that value hedging dominates cash flow hedging in the context of management decisions being made to maximize shareholder value. This finding provides an explanation for the failure of some attempted issues of longevity risk transfer instruments and suggests efficient alternate structures.

### MSC:

91G05 | Actuarial mathematics |

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\textit{R. D. MacMinn} and \textit{N. Zhu}, N. Am. Actuar. J. 25, S373--S384 (2021; Zbl 1461.91252)

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### References:

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This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.